Dr Paul Docherty

© 2016. The momentum premium is pervasive across international markets and different asset classes; however, the drivers of this premium are yet to be established. This paper contributes to the literature by examining the association between a leading economic indicator, namely return dispersion, and the momentum premium. This association is examined across four regional momentum strategies and a global momentum strategy. We document a strong association between return dispersion and the momentum premium using both ex-post and ex-ante empirical methods. This association is robust to the inclusion of a set of control variables and an alternate specification of return dispersion. We test a conditional momentum strategy that scales the unconditional momentum strategy by the level of return dispersion and find that the conditional momentum strategy outperforms the unconditional momentum strategy in all regions. The results presented in this paper document the dynamic association between risk and the momentum premium.

© 2017 Board of Trustees of the University of Illinois. Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, relatively few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.

© 2015 Taylor & Francis. The Melbourne Cup is a major horse racing event that is colloquially known as the ¿race that stops the nation¿ in Australia. We use constituent stock intraday volume data on the Australian Securities Exchange S & P/ASX 200 equity index from 2003 to 2013 within a regression framework to examine whether this major horse race reduces investor attention. Results show that trading volume on the Australian equity market is significantly reduced during and immediately surrounding the running of the Melbourne Cup, supporting the claim that this is the ¿race that stops the equity market¿.

Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations via initial public offerings where all citizens are entitled to subscribe for shares, in privatisations via asset sales only acquiring company shareholders benefit from any under-pricing. This suggests the need for greater scrutiny to ensure fair pricing in privatisation via asset sales. © The Author(s) 2013.

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2. weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms. © 2014 Elsevier B.V.